1 citations · 2 across the 10 of their papers we have counts for
16 papers
The end-of-month option in futures contracts and the Gittins index of holding the underlying
Erhan Bayraktar
The end-of-month option allows the short in a futures contract to choose when to deliver during a window in which the delivery price is fixed. We characterize optimal delivery thro…
Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences
Erhan Bayraktar, Emmet Lawless
We study an infinite-horizon optimal consumption-investment problem for an investor with Epstein-Zin stochastic differential utility in an incomplete market with stochastic investm…
Automation, Income Incidence, and Capital Accumulation in Incomplete Markets
Erhan Bayraktar
This paper studies how automation changes the stationary distribution of income, consumption, and wealth in an incomplete-market economy. An automating sector trades off productivi…
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
Mean-field games with rough common noise: the compactification approach
Erhan Bayraktar, Xihao He, Xiang Yu +1
We study mean-field game (MFG) problems with rough common noise, in which the representative state dynamics are governed by a controlled rough stochastic differential equation driv…
Goal-based portfolio selection with fixed transaction costs
Erhan Bayraktar, Bingyan Han, Jingjie Zhang
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock inc…
Goal-based portfolio selection with mental accounting
Erhan Bayraktar, Bingyan Han
We present a continuous-time portfolio selection framework that reflects goal-based investment principles and mental accounting behavior. In this framework, an investor with multip…
Generalizing Super/Sub MOT using weak transport
Erhan Bayraktar, Dominykas Norgilas
In this article we revisit the weak optimal transport (WOT) problem, introduced by Gozlan, Roberto, Samson and Tetali (2017). We work on the real line, with barycentric cost functi…
The McCormick martingale optimal transport
Erhan Bayraktar, Bingyan Han, Dominykas Norgilas
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability. In this study, we extend MOT by incorporating causality…
A potential-based construction of the increasing supermartingale coupling
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of…
Transport plans with domain constraints
Erhan Bayraktar, Xin Zhang, Zhou Zhou
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the exi…
Mini-Flash Crashes, Model Risk, and Optimal Execution
Erhan Bayraktar, Alexander Munk
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation…
Minimizing the Probability of Lifetime Drawdown under Constant Consumption
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Schole…
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
Erhan Bayraktar, David Promislow, Virginia Young
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal…
Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar, Gu Wang
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with…
On an Optimal Stopping Problem of an Insider
Erhan Bayraktar, Zhou Zhou
We consider the optimal stopping problem $v^{(\eps)}:=\sup_{τ\in\mathcal{T}_{0,T}}\mathbb{E}B_{(τ-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic…